Visualize dynamic hedging

(via an interactive GUI)
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Mise à jour 4 avr. 2016

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Function HEDGEDEMO aims to help students and instructors of finance visualize trading demands of simple static or dynamic value-hedging strategies. In a single-factor setting, 2-asset hedge portfolios are constructed to match, at a point in time, value and delta of the hedged portfolio, consisting of 1-2 assets, one unit of each. (Delta is estimated by shifting the factor path by +/- 0.01). Factor dynamics are described by a Matlab expression or function that defines vector 'X' in terms of vector 'T', where T = StartDate:EndDate. With 'X' defined and evaluated, paths of asset prices are similarly given by Matlab expressions or functions inputting 'X' and 'T'.

Citation pour cette source

Dimitri Shvorob (2024). Visualize dynamic hedging (, MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2007a
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